Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0571 |
| Annualized Std Dev | 0.2775 |
| Annualized Sharpe (Rf=0%) | 0.2058 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3381.0000 |
| NAs | 1.0000 |
| Minimum | -0.1259 |
| Quartile 1 | -0.0060 |
| Median | 0.0009 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0067 |
| Maximum | 0.1714 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0175 |
| Skewness | -0.0235 |
| Kurtosis | 10.8311 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0125 |
| Gain Deviation | 0.0133 |
| Loss Deviation | 0.0143 |
| Downside Deviation (MAR=210%) | 0.0167 |
| Downside Deviation (Rf=0%) | 0.0124 |
| Downside Deviation (0%) | 0.0124 |
| Maximum Drawdown | 0.7224 |
| Historical VaR (95%) | -0.0258 |
| Historical ES (95%) | -0.0434 |
| Modified VaR (95%) | -0.0247 |
| Modified ES (95%) | -0.0301 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-14 | 2009-03-06 | 2013-10-16 | -0.7224 | 1510 | 348 | 1162 |
| 2020-02-21 | 2020-03-23 | 2021-01-06 | -0.4855 | 222 | 22 | 200 |
| 2018-08-30 | 2018-12-24 | 2019-11-19 | -0.2255 | 308 | 80 | 228 |
| 2015-08-18 | 2016-02-11 | 2016-08-30 | -0.2011 | 262 | 123 | 139 |
| 2018-01-29 | 2018-02-08 | 2018-08-29 | -0.0966 | 149 | 9 | 140 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | 1.3 | -1.8 | -2 | 0.9 | 2.3 | -2.3 | 2.7 | 0.4 | 1.4 |
| 2008 | -0.1 | -2.4 | 3.1 | 2.3 | -0.3 | 0.2 | 0.3 | 1.1 | 2.1 | 3 | -10.3 | 3.9 | 2.1 |
| 2009 | -4.6 | -7.4 | -0.5 | -2 | 2.7 | 1.5 | 0.8 | -4.2 | -3.8 | -2.7 | 0.5 | -1 | -19.2 |
| 2010 | 0.9 | 0.8 | 0.5 | -1.8 | -2.8 | -0.6 | 0.1 | 3.2 | 0 | 0.1 | 1.8 | -0.1 | 1.9 |
| 2011 | 1.6 | -1.7 | 1.4 | -0.1 | -2.5 | 1.4 | -0.4 | -1.9 | -2.5 | -4.2 | -1 | -0.5 | -10.2 |
| 2012 | 1.6 | 0.8 | 0.2 | 0.5 | -3.5 | 2.3 | -0.7 | 0.5 | 0.2 | 1.1 | 0.3 | 1 | 4.3 |
| 2013 | 1.1 | -0.3 | -0.7 | -1.3 | -1.1 | 1.1 | 1.7 | -0.9 | 0.9 | -0.1 | -0.1 | 0.4 | 0.6 |
| 2014 | -1.1 | 0.4 | 0.5 | 0.4 | 0 | 0.6 | -0.3 | 0.4 | -0.9 | 1 | -0.9 | -1 | -1.1 |
| 2015 | -1.2 | -0.2 | -0.1 | 0.7 | 0.1 | 1.6 | -0.1 | -2.7 | 0.1 | -1.1 | 0.9 | -0.9 | -2.9 |
| 2016 | -0.2 | 2.8 | 0.6 | -0.5 | 0.3 | -0.4 | -0.4 | -0.3 | 0.8 | -0.7 | 0.6 | 0.3 | 3 |
| 2017 | -0.1 | 1.7 | -0.4 | 0.4 | 1.2 | 0 | 0.5 | 0.2 | 0.4 | -0.1 | 0 | -0.4 | 3.6 |
| 2018 | 0.4 | -0.7 | 1 | 0.4 | 0.9 | 0 | 0.3 | 0.3 | -0.4 | 0.8 | 0.7 | 0.6 | 4.4 |
| 2019 | 0.6 | 0.4 | 1.9 | -0.8 | -1.3 | 0.6 | -1.9 | 0.3 | -1.9 | 1.3 | -0.4 | 0.4 | -1.1 |
| 2020 | -1.9 | -2.6 | -6.1 | -4.1 | 2.4 | -2.4 | -0.1 | 0.3 | 0.5 | 0.6 | 2.3 | 0.8 | -10.1 |
| 2021 | 1.7 | 3.1 | -0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-05-10 20.0 SPY 150. -0.0105 -0.0051 0.0386 0.0314 0.128 0.360 0.372 GLD 66 -0.0215 -0.0221
2 2007-05-14 20.1 SPY 151. -0.0022 -0.0028 0.0359 0.0494 0.150 0.372 0.424 GLD 66.3 -0.0026 -0.0289
3 2007-05-17 20.0 SPY 151. -0.002 0.0115 0.0274 0.0377 0.170 0.375 0.378 GLD 65.1 -0.0082 -0.0142
4 2007-05-23 20.3 SPY 152. 0.0001 0.0055 0.0292 0.045 0.209 0.391 0.402 GLD 65.5 0.0049 -0.0009
5 2007-06-14 20.0 SPY 153. 0.0064 0.0252 0.0152 0.096 0.247 0.350 0.490 GLD 64.6 0.0011 -0.0101
6 2007-06-18 20.1 SPY 153. -0.00120 0.0105 0.0105 0.0905 0.212 0.341 0.508 GLD 65.0 0.0015 0.0039
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
